nvq
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21080
     
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:
  Calamos Convertible
Opportunities and Income
Fund
     
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:
  2020 Calamos Court, Naperville
Illinois 60563
 
    
NAME AND ADDRESS OF AGENT FOR SERVICE:
  John P. Calamos Sr., President
Calamos Advisors LLC,
2020 Calamos Court,
Naperville, Illinois
60563
REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2011
DATE OF REPORTING PERIOD: July 31, 2011
 
 

 

 
Calamos Convertible Opportunities and Income Fund
 
 SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		           
AMOUNT         VALUE  
   
 
CORPORATE BONDS (72.7%)
        Consumer Discretionary (14.1%)
  3,539,000     American Axle & Manufacturing, Inc.
7.875%, 03/01/17 		  $ 3,631,899  
  3,176,000     Asbury Automotive Group, Inc.µ
7.625%, 03/15/17 		    3,183,940  
  3,063,000     Cedar Fair, LP
9.125%, 08/01/18 		    3,327,184  
  5,546,000     Cooper Tire & Rubber Companyµ
8.000%, 12/15/19 		    5,809,435  
  1,672,000     Dana Holding Corp.
6.750%, 02/15/21 		    1,707,530  
        DISH Network Corp.µ        
  5,717,000     7.875%, 09/01/19     6,310,139  
  4,787,000     7.125%, 02/01/16     5,134,057  
  5,445,000     Exide Technologiesµ*
8.625%, 02/01/18 		    5,581,125  
  3,630,000     Express, LLC
8.750%, 03/01/18 		    3,938,550  
  1,069,000     GameStop Corp.
8.000%, 10/01/12 		    1,087,708  
        Goodyear Tire & Rubber Companyµ        
  5,754,000     8.250%, 08/15/20     6,343,785  
  781,000     7.000%, 03/15/28     769,285  
  5,218,000     Hanesbrands, Inc.µ‡
3.770%, 12/15/14 		    5,231,045  
  3,630,000     Hasbro, Inc.µ
6.600%, 07/15/28 		    3,956,214  
  1,025,000     Interpublic Group of Companies, Inc.µ
10.000%, 07/15/17 		    1,217,187  
        J.C. Penney Company, Inc.        
  2,826,000     6.375%, 10/15/36     2,536,335  
  2,604,000     7.125%, 11/15/23     2,714,670  
        Jaguar Land Rover, PLC*        
  2,722,000     8.125%, 05/15/21µ     2,769,635  
  2,133,000     7.750%, 05/15/18     2,175,660  
  5,318,000     Jarden Corp.µ
7.500%, 05/01/17 		    5,590,547  
  2,722,000     Liberty Media Corp.µ
8.250%, 02/01/30 		    2,687,975  
        Limited Brands, Inc.        
  2,722,000     7.600%, 07/15/37     2,728,805  
  1,405,000     6.625%, 04/01/21     1,461,200  
  712,000     6.950%, 03/01/33     662,160  
  2,722,000     Live Nation Entertainment, Inc.*
8.125%, 05/15/18 		    2,783,245  
  4,084,000     Macy’s Retail Holdings, Inc.µ
5.900%, 12/01/16 		    4,660,150  
  3,875,000     NetFlix, Inc.µ
8.500%, 11/15/17 		    4,398,125  
  3,700,000     Perry Ellis International, Inc.
7.875%, 04/01/19 		    3,866,500  
        Royal Caribbean Cruises, Ltd.        
  4,537,000     7.500%, 10/15/27     4,605,055  
  1,815,000     7.250%, 06/15/16µ     1,964,737  
  907,000     7.000%, 06/15/13µ     973,891  
        Service Corp. International        
  6,352,000     7.500%, 04/01/27µ     6,193,200  
  907,000     7.625%, 10/01/18µ     1,015,840  
  907,000     7.000%, 05/15/19     972,758  
  1,361,000     Speedway Motorsports, Inc.
8.750%, 06/01/16 		    1,490,295  
  3,120,000     Vail Resorts, Inc.*
6.500%, 05/01/19 		    3,209,700  
  3,929,000     Wynn Las Vegas, LLCµ
7.750%, 08/15/20 		    4,361,190  
                 
              121,050,756  
                 
        Consumer Staples (1.8%)
        Constellation Brands, Inc.        
  1,815,000     7.250%, 09/01/16µ     2,010,113  
  681,000     8.375%, 12/15/14     784,853  
  2,838,000     Darling International, Inc.
8.500%, 12/15/18 		    3,139,537  
  2,269,000     Dean Foods Company*
9.750%, 12/15/18 		    2,439,175  
  113,000     Elizabeth Arden, Inc.
7.375%, 03/15/21 		    118,085  
  3,210,000     JBS USA, LLC*
7.250%, 06/01/21 		    3,185,925  
  3,115,000     Reynolds American, Inc.µ
7.250%, 06/15/37 		    3,471,935  
                 
              15,149,623  
                 
        Energy (15.1%)
  13,612,000  NOK   Aker Solutions, ASA
8.700%, 06/26/14 		    2,724,369  
        Arch Coal, Inc.µ        
  5,182,000     7.250%, 10/01/20     5,447,577  
  681,000     8.750%, 08/01/16     759,315  
  2,987,000     Arch Western Finance, LLC
6.750%, 07/01/13 		    3,020,604  
  4,330,000     Basic Energy Services, Inc.µ*
7.750%, 02/15/19 		    4,449,075  
        Berry Petroleum Company        
  4,792,000     8.250%, 11/01/16µ     5,031,600  
  1,815,000     10.250%, 06/01/14     2,082,713  
  3,630,000     Brigham Exploration Company
8.750%, 10/01/18 		    4,101,900  
  7,441,000     Bristow Group, Inc.µ
7.500%, 09/15/17 		    7,831,652  
  6,806,000     Calfrac Holdings, LPµ*
7.500%, 12/01/20 		    7,027,195  
  7,260,000     Carrizo Oil & Gas, Inc.
8.625%, 10/15/18 		    7,768,200  
  5,445,000     Clayton Williams Energy, Inc.µ*
7.750%, 04/01/19 		    5,322,487  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Convertible Opportunities and Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		           
AMOUNT         VALUE  
   
 
  3,630,000     Complete Production Services, Inc.µ
8.000%, 12/15/16 		  $ 3,829,650  
  5,717,000     Comstock Resources, Inc.µ
8.375%, 10/15/17 		    6,088,605  
  4,392,000     Concho Resources, Inc.µ
8.625%, 10/01/17 		    4,853,160  
        Frontier Oil Corp.        
  5,518,000     8.500%, 09/15/16     5,945,645  
  740,000     6.875%, 11/15/18     793,650  
  2,813,000     GulfMark Offshore, Inc.µ
7.750%, 07/15/14 		    2,851,679  
  5,082,000     Helix Energy Solutions Group, Inc.µ*
9.500%, 01/15/16 		    5,361,510  
  1,842,000     HollyFrontier Corp.µ
9.875%, 06/15/17 		    2,076,855  
  2,659,000     Hornbeck Offshore Services, Inc.µ
8.000%, 09/01/17 		    2,732,123  
  907,000     Linn Energy, LLC*
6.500%, 05/15/19 		    908,134  
  3,630,000     Pride International, Inc.µ
8.500%, 06/15/19 		    4,695,017  
  3,630,000     SEACOR Holdings, Inc.
7.375%, 10/01/19 		    4,015,027  
  5,899,000     SESI, LLCµ
6.875%, 06/01/14 		    6,009,606  
  3,463,000     SM Energy Company*
6.625%, 02/15/19 		    3,584,205  
        Swift Energy Companyµ        
  4,900,000     8.875%, 01/15/20     5,365,500  
  2,269,000     7.125%, 06/01/17     2,348,415  
  4,084,000     Trinidad Drilling, Ltd.µ*
7.875%, 01/15/19 		    4,308,620  
  454,000     Unit Corp.
6.625%, 05/15/21 		    460,810  
  4,991,000     W & T Offshore, Inc.*
8.500%, 06/15/19 		    5,196,879  
  2,162,000     Whiting Petroleum Corp.µ
6.500%, 10/01/18 		    2,237,670  
                 
              129,229,447  
                 
        Financials (2.7%)
  2,179,000     AON Corp.
8.205%, 01/01/27 		    2,516,745  
  1,906,000     Janus Capital Group, Inc.µ
6.700%, 06/15/17 		    2,114,032  
        Leucadia National Corp.µ        
  7,033,000     8.125%, 09/15/15     7,771,465  
  1,117,000     7.125%, 03/15/17     1,168,661  
  4,084,000     Nuveen Investments, Inc.
10.500%, 11/15/15 		    4,277,990  
        OMEGA Healthcare Investors, Inc.        
  2,859,000     7.500%, 02/15/20µ     3,069,851  
  1,815,000     6.750%, 10/15/22     1,855,838  
                 
              22,774,582  
                 
        Health Care (7.4%)
  1,815,000     Bio-Rad Laboratories, Inc.
8.000%, 09/15/16 		    2,039,606  
  1,815,000     Community Health Systems, Inc.
8.875%, 07/15/15 		    1,880,794  
  6,750,000     DaVita, Inc.µ
6.625%, 11/01/20 		    6,918,750  
        Endo Pharmaceuticals Holdings, Inc.*        
  6,806,000     7.000%, 12/15/20µ     7,129,285  
  907,000     7.000%, 07/15/19     954,617  
  6,806,000     Giant Funding Corp.µ*
8.250%, 02/01/18 		    7,197,345  
  2,722,000     HCA, Inc.*
7.750%, 05/15/21 		    2,783,245  
        HealthSouth Corp.µ        
  2,496,000     7.750%, 09/15/22     2,670,720  
  1,996,000     7.250%, 10/01/18     2,100,790  
        Mylan, Inc.*        
  3,920,000     7.625%, 07/15/17     4,321,800  
  2,949,000     7.875%, 07/15/20     3,288,135  
  4,422,000     Teleflex, Inc.
6.875%, 06/01/19 		    4,576,770  
        Valeant Pharmaceuticals International, Inc.*        
  5,626,000     7.000%, 10/01/20µ     5,457,220  
  3,176,000     7.250%, 07/15/22     3,072,780  
  953,000     6.750%, 10/01/17µ     936,323  
  8,043,000     Warner Chilcott Company, LLCµ*
7.750%, 09/15/18 		    8,163,645  
                 
              63,491,825  
                 
        Industrials (11.3%)
  4,458,000     Abengoa, SA*
8.875%, 11/01/17 		    4,502,580  
        BE Aerospace, Inc.        
  4,084,000     8.500%, 07/01/18µ     4,517,925  
  306,000     6.875%, 10/01/20     330,480  
        Belden, Inc.        
  3,857,000     7.000%, 03/15/17µ     3,972,710  
  907,000     9.250%, 06/15/19     1,010,171  
  3,545,000     Boart Longyear Management Pty., Ltd.*
7.000%, 04/01/21 		    3,660,212  
  2,314,000     Clean Harbors, Inc.*
7.625%, 08/15/16 		    2,470,196  
        Deluxe Corp.µ        
  4,991,000     7.000%, 03/15/19*     4,991,000  
  4,215,000     7.375%, 06/01/15     4,362,525  
  3,757,000     Dycom Investments, Inc.
7.125%, 01/15/21 		    3,850,925  
  2,142,000     Esterline Technologies Corp.µ
7.000%, 08/01/20 		    2,281,230  
  2,042,000     FTI Consulting, Inc.
6.750%, 10/01/20 		    2,093,050  
        GEO Group, Inc.        
  2,269,000     6.625%, 02/15/21*     2,280,345  
  681,000     7.750%, 10/15/17     732,075  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Convertible Opportunities and Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		           
AMOUNT         VALUE  
   
 
  3,591,000     GeoEye, Inc.µ
8.625%, 10/01/16 		  $ 3,860,325  
  1,290,000     Great Lakes Dredge & Dock Corp.µ*
7.375%, 02/01/19 		    1,290,000  
  1,452,000     H&E Equipment Services, Inc.µ
8.375%, 07/15/16 		    1,506,450  
        Huntington Ingalls Industries, Inc.*        
  227,000     6.875%, 03/15/18     234,945  
  217,000     7.125%, 03/15/21     225,138  
  3,915,000     Interline Brands, Inc.µ
7.000%, 11/15/18 		    4,022,662  
  3,176,000     Manitowoc Company, Inc.
8.500%, 11/01/20 		    3,469,780  
  2,269,000     Mobile Mini, Inc.
7.875%, 12/01/20 		    2,376,778  
        Oshkosh Corp.        
  2,722,000     8.500%, 03/01/20µ     2,973,785  
  1,815,000     8.250%, 03/01/17     1,969,275  
  4,537,000     Sensata Technologies Holding, B.V.µ*
6.500%, 05/15/19 		    4,605,055  
  7,033,000     Spirit AeroSystems Holdings, Inc.µ
7.500%, 10/01/17 		    7,525,310  
  2,214,000     SPX Corp.µ
7.625%, 12/15/14 		    2,468,610  
  6,806,000     Terex Corp.
8.000%, 11/15/17 		    6,967,642  
        Triumph Group, Inc.        
  2,269,000     8.625%, 07/15/18µ     2,501,573  
  1,860,000     8.000%, 11/15/17~     1,999,500  
  4,465,000     Tutor Perini Corp.
7.625%, 11/01/18 		    4,319,887  
  3,154,000     WESCO Distribution, Inc.µ
7.500%, 10/15/17 		    3,248,620  
                 
              96,620,759  
                 
        Information Technology (8.8%)
        Advanced Micro Devices, Inc.µ        
  5,445,000     7.750%, 08/01/20     5,758,087  
  4,420,000     8.125%, 12/15/17     4,718,350  
        Amkor Technology, Inc.        
  4,084,000     7.375%, 05/01/18     4,216,730  
  3,630,000     6.625%, 06/01/21*     3,593,700  
  1,270,000     Anixter International, Inc.µ
5.950%, 03/01/15 		    1,300,163  
  4,338,000     Audatex North America, Inc.*
6.750%, 06/15/18 		    4,478,985  
  5,899,000     EH Holding Corp.*
7.625%, 06/15/21 		    6,105,465  
        Equinix, Inc.        
  4,084,000     7.000%, 07/15/21     4,257,570  
  2,813,000     8.125%, 03/01/18µ     3,108,365  
  454,000     Fidelity National Information Services, Inc.
7.875%, 07/15/20 		    486,915  
  522,000     Hynix Semiconductor, Inc.*
7.875%, 06/27/17 		    556,556  
  7,260,000     iGATE Corp.µ*
9.000%, 05/01/16 		    7,296,300  
        Jabil Circuit, Inc.µ        
  4,991,000     8.250%, 03/15/18     5,752,128  
  907,000     7.750%, 07/15/16     1,020,375  
  2,269,000     Lexmark International, Inc.µ
6.650%, 06/01/18 		    2,530,570  
  6,490,000     MEMC Electronic Materials, Inc.*
7.750%, 04/01/19 		    6,230,400  
  4,991,000     Sanmina-SCI Corp.*
7.000%, 05/15/19 		    4,878,703  
        Seagate Technology*        
  3,176,000     6.875%, 05/01/20     3,199,820  
  2,722,000     7.000%, 11/01/21µ     2,762,830  
  2,949,000     ViaSat, Inc.
8.875%, 09/15/16 		    3,111,195  
                 
              75,363,207  
                 
        Materials (5.6%)
  2,496,000     Allegheny Ludlum Corp.
6.950%, 12/15/25 		    2,844,509  
  1,361,000     Ball Corp.
7.375%, 09/01/19 		    1,503,905  
  1,626,000     Boise Cascade Holdings, LLC
7.125%, 10/15/14 		    1,621,935  
  4,417,000     Clearwater Paper Corp.
7.125%, 11/01/18 		    4,632,329  
  5,817,000     Greif, Inc.µ
7.750%, 08/01/19 		    6,384,157  
  841,000     Kraton Polymers, LLC
6.750%, 03/01/19 		    856,769  
  2,514,000     Nalco Company
8.250%, 05/15/17 		    2,840,820  
  2,572,000     Neenah Paper, Inc.
7.375%, 11/15/14 		    2,636,300  
  5,445,000     Sealed Air Corp.µ*
6.875%, 07/15/33 		    4,939,410  
  3,321,000     Silgan Holdings, Inc.µ
7.250%, 08/15/16 		    3,561,772  
        Steel Dynamics, Inc.        
  7,296,000     7.750%, 04/15/16µ     7,752,000  
  907,000     7.625%, 03/15/20     977,293  
        Union Carbide Corp.µ        
  3,630,000     7.500%, 06/01/25     4,238,246  
  2,813,000     7.875%, 04/01/23     3,319,340  
                 
              48,108,785  
                 
        Telecommunication Services (4.5%)
  4,274,000     CenturyLink, Inc.µ
6.875%, 01/15/28 		    4,144,288  
        Frontier Communications Corp.        
  5,536,000     9.000%, 08/15/31µ     5,750,520  
  2,269,000     8.250%, 04/15/17     2,501,573  
  8,199,000     MetroPCS Wireless, Inc.µ
7.875%, 09/01/18 		    8,762,681  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Convertible Opportunities and Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		           
AMOUNT         VALUE  
   
 
  5,445,000     Qwest Communications International, Inc.µ 7.750%, 02/15/31   $ 5,608,350  
        Windstream Corp.        
  7,986,000     7.750%, 10/15/20µ     8,505,090  
  2,722,000     7.500%, 04/01/23     2,779,843  
                 
              38,052,345  
                 
        Utilities (1.4%)
        Calpine Corp.*        
  3,403,000     7.875%, 07/31/20     3,607,180  
  2,949,000     7.500%, 02/15/21µ     3,066,960  
        NRG Energy, Inc.*        
  4,537,000     7.875%, 05/15/21     4,582,370  
  907,000     7.625%, 05/15/19     909,267  
                 
              12,165,777  
                 
        TOTAL CORPORATE BONDS
(Cost $597,073,930) 		    622,007,106  
                 
CONVERTIBLE BONDS (22.1%)
        Consumer Discretionary (3.5%)
        Interpublic Group of Companies, Inc.µ        
  4,490,000     4.750%, 03/15/23     5,107,375  
  2,500,000     4.250%, 03/15/23     2,618,750  
  10,000,000     Liberty Media Corp. (Time Warner, Inc.)µ§
3.125%, 03/30/23 		    11,737,500  
  12,120,000     Liberty Media Corp.
(Viacom, CBS Corp. - Class B)µ§
3.250%, 03/15/31 		    10,483,800  
                 
              29,947,425  
                 
        Energy (1.6%)
        Chesapeake Energy Corp.µ        
  8,500,000     2.250%, 12/15/38     7,958,125  
  5,000,000     2.750%, 11/15/35     5,843,750  
                 
              13,801,875  
                 
        Financials (0.8%)
  3,000,000     Affiliated Managers Group, Inc.µ
3.950%, 08/15/38 		    3,371,250  
  2,850,000     Health Care REIT, Inc.µ
3.000%, 12/01/29 		    3,213,375  
                 
              6,584,625  
                 
        Health Care (3.3%)
  2,000,000     Kinetic Concepts, Inc.*
3.250%, 04/15/15 		    2,865,000  
  9,250,000     LifePoint Hospitals, Inc.µ
3.500%, 05/15/14 		    9,747,188  
  3,000,000     Salix Pharmaceuticals, Ltd.µ
2.750%, 05/15/15 		    3,408,750  
  10,000,000     Shire, PLC
2.750%, 05/09/14 		    12,173,509  
                 
              28,194,447  
                 
        Industrials (1.5%)
  2,150,000     Alliant Techsystems, Inc.
3.000%, 08/15/24 		    2,340,813  
  10,500,000     Trinity Industries, Inc.µ
3.875%, 06/01/36 		    10,447,500  
                 
              12,788,313  
                 
        Information Technology (8.2%)
  1,450,000  GBP   Autonomy Corp., PLC
3.250%, 03/04/15 		    2,668,132  
  5,500,000     Euronet Worldwide, Inc.µ
3.500%, 10/15/25 		    5,527,500  
        Intel Corp.µ        
  23,250,000     2.950%, 12/15/35     24,005,625  
  3,500,000     3.250%, 08/01/39     4,165,000  
  18,800,000     Linear Technology Corp.µ
3.000%, 05/01/27 		    19,599,000  
  4,000,000     ON Semiconductor Corp.µ
2.625%, 12/15/26 		    4,455,000  
  1,621,000     Rovi Corp.µ
2.625%, 02/15/40 		    2,099,195  
  6,250,000     Xilinx, Inc.
2.625%, 06/15/17 		    7,734,375  
                 
              70,253,827  
                 
        Materials (3.2%)
  4,300,000     Anglo American, PLC
4.000%, 05/07/14 		    7,614,552  
  6,100,000     AngloGold Ashanti, Ltd.µ
3.500%, 05/22/14 		    7,071,425  
  8,010,000     Newmont Mining Corp.µ
3.000%, 02/15/12 		    9,962,437  
  2,620,000     Steel Dynamics, Inc.µ
5.125%, 06/15/14 		    3,101,425  
                 
              27,749,839  
                 
        TOTAL CONVERTIBLE BONDS
(Cost $179,758,286) 		    189,320,351  
                 
U.S. GOVERNMENT AND AGENCY SECURITIES (0.6%)
        United States Treasury Note~        
  3,630,000     1.000%, 03/31/12     3,648,571  
  1,633,000     0.875%, 01/31/12     1,638,614  
                 
        TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES
(Cost $5,286,454) 		    5,287,185  
                 
SOVEREIGN BONDS (1.4%)
        Federal Republic of Brazil        
  1,298,000  BRL   10.000%, 01/01/12     8,347,466  
  544,000  BRL   10.000%, 01/01/13     3,415,967  
                 
        TOTAL SOVEREIGN BONDS
(Cost $10,747,180) 		    11,763,433  
                 
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Convertible Opportunities and Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		           
AMOUNT         VALUE  
   
 
SYNTHETIC CONVERTIBLE SECURITIES (8.9%)
Corporate Bonds (7.4%)
        Consumer Discretionary (1.4%)
  361,000     American Axle & Manufacturing, Inc.
7.875%, 03/01/17 		  $ 370,476  
  324,000     Asbury Automotive Group, Inc.µ
7.625%, 03/15/17 		    324,810  
  312,000     Cedar Fair, LP
9.125%, 08/01/18 		    338,910  
  565,000     Cooper Tire & Rubber Companyµ
8.000%, 12/15/19 		    591,837  
  170,000     Dana Holding Corp.
6.750%, 02/15/21 		    173,613  
        DISH Network Corp.µ        
  583,000     7.875%, 09/01/19     643,486  
  488,000     7.125%, 02/01/16     523,380  
  555,000     Exide Technologiesµ*
8.625%, 02/01/18 		    568,875  
  370,000     Express, LLC
8.750%, 03/01/18 		    401,450  
  109,000     GameStop Corp.
8.000%, 10/01/12 		    110,908  
        Goodyear Tire & Rubber Companyµ        
  586,000     8.250%, 08/15/20     646,065  
  80,000     7.000%, 03/15/28     78,800  
  532,000     Hanesbrands, Inc.µ‡
3.770%, 12/15/14 		    533,330  
  370,000     Hasbro, Inc.µ
6.600%, 07/15/28 		    403,250  
  105,000     Interpublic Group of Companies, Inc.µ
10.000%, 07/15/17 		    124,688  
        J.C. Penney Company, Inc.        
  288,000     6.375%, 10/15/36     258,480  
  265,000     7.125%, 11/15/23     276,262  
        Jaguar Land Rover, PLC*        
  278,000     8.125%, 05/15/21µ     282,865  
  217,000     7.750%, 05/15/18     221,340  
  542,000     Jarden Corp.µ
7.500%, 05/01/17 		    569,777  
  278,000     Liberty Media Corp.µ
8.250%, 02/01/30 		    274,525  
        Limited Brands, Inc.        
  278,000     7.600%, 07/15/37     278,695  
  143,000     6.625%, 04/01/21     148,720  
  73,000     6.950%, 03/01/33     67,890  
  278,000     Live Nation Entertainment, Inc.*
8.125%, 05/15/18 		    284,255  
  416,000     Macy’s Retail Holdings, Inc.µ
5.900%, 12/01/16 		    474,687  
  395,000     NetFlix, Inc.µ
8.500%, 11/15/17 		    448,325  
  377,000     Perry Ellis International, Inc.
7.875%, 04/01/19 		    393,965  
        Royal Caribbean Cruises, Ltd.        
  463,000     7.500%, 10/15/27     469,945  
  185,000     7.250%, 06/15/16µ     200,263  
  93,000     7.000%, 06/15/13µ     99,859  
        Service Corp. International        
  648,000     7.500%, 04/01/27µ     631,800  
  93,000     7.625%, 10/01/18µ     104,160  
  93,000     7.000%, 05/15/19     99,743  
  139,000     Speedway Motorsports, Inc.
8.750%, 06/01/16 		    152,205  
  318,000     Vail Resorts, Inc.*
6.500%, 05/01/19 		    327,142  
  401,000     Wynn Las Vegas, LLCµ
7.750%, 08/15/20 		    445,110  
                 
              12,343,891  
                 
        Consumer Staples (0.2%)
        Constellation Brands, Inc.        
  185,000     7.250%, 09/01/16µ     204,888  
  69,000     8.375%, 12/15/14     79,523  
  289,000     Darling International, Inc.
8.500%, 12/15/18 		    319,706  
  231,000     Dean Foods Company*
9.750%, 12/15/18 		    248,325  
  11,000     Elizabeth Arden, Inc.
7.375%, 03/15/21 		    11,495  
  327,000     JBS USA, LLC*
7.250%, 06/01/21 		    324,547  
  318,000     Reynolds American, Inc.µ
7.250%, 06/15/37 		    354,438  
                 
              1,542,922  
                 
        Energy (1.5%)
  1,388,000  NOK   Aker Solutions, ASA
8.700%, 06/26/14 		    277,801  
        Arch Coal, Inc.µ        
  528,000     7.250%, 10/01/20     555,060  
  69,000     8.750%, 08/01/16     76,935  
  305,000     Arch Western Finance, LLC
6.750%, 07/01/13 		    308,431  
  441,000     Basic Energy Services, Inc.µ*
7.750%, 02/15/19 		    453,128  
        Berry Petroleum Company        
  488,000     8.250%, 11/01/16µ     512,400  
  185,000     10.250%, 06/01/14     212,288  
  370,000     Brigham Exploration Company
8.750%, 10/01/18 		    418,100  
  759,000     Bristow Group, Inc.µ
7.500%, 09/15/17 		    798,847  
  694,000     Calfrac Holdings, LPµ*
7.500%, 12/01/20 		    716,555  
  740,000     Carrizo Oil & Gas, Inc.
8.625%, 10/15/18 		    791,800  
  555,000     Clayton Williams Energy, Inc.µ*
7.750%, 04/01/19 		    542,512  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Convertible Opportunities and Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		           
AMOUNT         VALUE  
   
 
  370,000     Complete Production Services, Inc.µ
8.000%, 12/15/16 		  $ 390,350  
  583,000     Comstock Resources, Inc.µ
8.375%, 10/15/17 		    620,895  
  448,000     Concho Resources, Inc.µ
8.625%, 10/01/17 		    495,040  
        Frontier Oil Corp.        
  562,000     8.500%, 09/15/16     605,555  
  75,000     6.875%, 11/15/18     80,438  
  287,000     GulfMark Offshore, Inc.µ
7.750%, 07/15/14 		    290,946  
  518,000     Helix Energy Solutions Group, Inc.µ*
9.500%, 01/15/16 		    546,490  
  188,000     HollyFrontier Corp.µ
9.875%, 06/15/17 		    211,970  
  271,000     Hornbeck Offshore Services, Inc.µ
8.000%, 09/01/17 		    278,453  
  93,000     Linn Energy, LLC*
6.500%, 05/15/19 		    93,116  
  370,000     Pride International, Inc.µ
8.500%, 06/15/19 		    478,555  
  370,000     SEACOR Holdings, Inc.
7.375%, 10/01/19 		    409,245  
  601,000     SESI, LLCµ
6.875%, 06/01/14 		    612,269  
  353,000     SM Energy Company*
6.625%, 02/15/19 		    365,355  
        Swift Energy Companyµ        
  500,000     8.875%, 01/15/20     547,500  
  231,000     7.125%, 06/01/17     239,085  
  416,000     Trinidad Drilling, Ltd.µ*
7.875%, 01/15/19 		    438,880  
  46,000     Unit Corp.
6.625%, 05/15/21 		    46,690  
  509,000     W & T Offshore, Inc.*
8.500%, 06/15/19 		    529,996  
  220,000     Whiting Petroleum Corp.µ
6.500%, 10/01/18 		    227,700  
                 
              13,172,385  
                 
        Financials (0.3%)
  222,000     AON Corp.
8.205%, 01/01/27 		    256,410  
  194,000     Janus Capital Group, Inc.µ
6.700%, 06/15/17 		    215,174  
        Leucadia National Corp.µ        
  717,000     8.125%, 09/15/15     792,285  
  114,000     7.125%, 03/15/17     119,273  
  416,000     Nuveen Investments, Inc.
10.500%, 11/15/15 		    435,760  
        OMEGA Healthcare Investors, Inc.        
  291,000     7.500%, 02/15/20µ     312,461  
  185,000     6.750%, 10/15/22     189,163  
                 
              2,320,526  
                 
        Health Care (0.8%)
  185,000     Bio-Rad Laboratories, Inc.
8.000%, 09/15/16 		    207,894  
  185,000     Community Health Systems, Inc.
8.875%, 07/15/15 		    191,706  
  688,000     DaVita, Inc.µ
6.625%, 11/01/20 		    705,200  
        Endo Pharmaceuticals Holdings, Inc.*        
  694,000     7.000%, 12/15/20µ     726,965  
  93,000     7.000%, 07/15/19     97,882  
  694,000     Giant Funding Corp.µ*
8.250%, 02/01/18 		    733,905  
  278,000     HCA, Inc.*
7.750%, 05/15/21 		    284,255  
        HealthSouth Corp.µ        
  254,000     7.750%, 09/15/22     271,780  
  204,000     7.250%, 10/01/18     214,710  
        Mylan, Inc.*        
  400,000     7.625%, 07/15/17     441,000  
  301,000     7.875%, 07/15/20     335,615  
  451,000     Teleflex, Inc.
6.875%, 06/01/19 		    466,785  
        Valeant Pharmaceuticals International, Inc.*        
  574,000     7.000%, 10/01/20µ     556,780  
  324,000     7.250%, 07/15/22     313,470  
  97,000     6.750%, 10/01/17µ     95,303  
  820,000     Warner Chilcott Company, LLCµ*
7.750%, 09/15/18 		    832,300  
                 
              6,475,550  
                 
        Industrials (1.1%)
  454,000     Abengoa, SA*
8.875%, 11/01/17 		    458,540  
        BE Aerospace, Inc.        
  416,000     8.500%, 07/01/18µ     460,200  
  31,000     6.875%, 10/01/20     33,480  
        Belden, Inc.        
  393,000     7.000%, 03/15/17µ     404,790  
  93,000     9.250%, 06/15/19     103,579  
  361,000     Boart Longyear Management Pty., Ltd.*
7.000%, 04/01/21 		    372,732  
  236,000     Clean Harbors, Inc.*
7.625%, 08/15/16 		    251,931  
        Deluxe Corp.µ        
  509,000     7.000%, 03/15/19*     509,000  
  430,000     7.375%, 06/01/15     445,050  
  383,000     Dycom Investments, Inc.
7.125%, 01/15/21 		    392,575  
  218,000     Esterline Technologies Corp.µ
7.000%, 08/01/20 		    232,170  
  208,000     FTI Consulting, Inc.
6.750%, 10/01/20 		    213,200  
        GEO Group, Inc.        
  231,000     6.625%, 02/15/21*     232,155  
  69,000     7.750%, 10/15/17     74,175  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Convertible Opportunities and Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		           
AMOUNT         VALUE  
   
 
  366,000     GeoEye, Inc.µ
8.625%, 10/01/16 		  $ 393,450  
  131,000     Great Lakes Dredge & Dock Corp.µ*
7.375%, 02/01/19 		    131,000  
  148,000     H&E Equipment Services, Inc.µ
8.375%, 07/15/16 		    153,550  
        Huntington Ingalls Industries, Inc.*        
  23,000     6.875%, 03/15/18     23,805  
  22,000     7.125%, 03/15/21     22,825  
  399,000     Interline Brands, Inc.µ
7.000%, 11/15/18 		    409,972  
  324,000     Manitowoc Company, Inc.
8.500%, 11/01/20 		    353,970  
  231,000     Mobile Mini, Inc.
7.875%, 12/01/20 		    241,973  
        Oshkosh Corp.        
  278,000     8.500%, 03/01/20µ     303,715  
  185,000     8.250%, 03/01/17     200,725  
  463,000     Sensata Technologies Holding, B.V.µ*
6.500%, 05/15/19 		    469,945  
  717,000     Spirit AeroSystems Holdings, Inc.µ
7.500%, 10/01/17 		    767,190  
  226,000     SPX Corp.µ
7.625%, 12/15/14 		    251,990  
  694,000     Terex Corp.
8.000%, 11/15/17 		    710,482  
        Triumph Group, Inc.        
  231,000     8.625%, 07/15/18µ     254,678  
  190,000     8.000%, 11/15/17~     204,250  
  455,000     Tutor Perini Corp.
7.625%, 11/01/18 		    440,212  
  321,000     WESCO Distribution, Inc.µ
7.500%, 10/15/17 		    330,630  
                 
              9,847,939  
                 
        Information Technology (0.9%)
        Advanced Micro Devices, Inc.µ        
  555,000     7.750%, 08/01/20     586,912  
  450,000     8.125%, 12/15/17     480,375  
        Amkor Technology, Inc.        
  416,000     7.375%, 05/01/18     429,520  
  370,000     6.625%, 06/01/21*     366,300  
  130,000     Anixter International, Inc.µ
5.950%, 03/01/15 		    133,088  
  442,000     Audatex North America, Inc.*
6.750%, 06/15/18 		    456,365  
  601,000     EH Holding Corp.*
7.625%, 06/15/21 		    622,035  
        Equinix, Inc.        
  416,000     7.000%, 07/15/21     433,680  
  287,000     8.125%, 03/01/18µ     317,135  
  46,000     Fidelity National Information Services, Inc.
7.875%, 07/15/20 		    49,335  
  53,000     Hynix Semiconductor, Inc.*
7.875%, 06/27/17 		    56,509  
  740,000     iGATE Corp.µ*
9.000%, 05/01/16 		    743,700  
        Jabil Circuit, Inc.µ        
  509,000     8.250%, 03/15/18     586,622  
  93,000     7.750%, 07/15/16     104,625  
  231,000     Lexmark International, Inc.µ
6.650%, 06/01/18 		    257,630  
  662,000     MEMC Electronic Materials, Inc.*
7.750%, 04/01/19 		    635,520  
  509,000     Sanmina-SCI Corp.*
7.000%, 05/15/19 		    497,547  
        Seagate Technology*        
  324,000     6.875%, 05/01/20     326,430  
  278,000     7.000%, 11/01/21µ     282,170  
  301,000     ViaSat, Inc.
8.875%, 09/15/16 		    317,555  
                 
              7,683,053  
                 
        Materials (0.6%)
  254,000     Allegheny Ludlum Corp.
6.950%, 12/15/25 		    289,465  
  139,000     Ball Corp.
7.375%, 09/01/19 		    153,595  
  166,000     Boise Cascade Holdings, LLC
7.125%, 10/15/14 		    165,585  
  450,000     Clearwater Paper Corp.
7.125%, 11/01/18 		    471,937  
  593,000     Greif, Inc.µ
7.750%, 08/01/19 		    650,817  
  86,000     Kraton Polymers, LLC
6.750%, 03/01/19 		    87,613  
  256,000     Nalco Holding Company
8.250%, 05/15/17 		    289,280  
  262,000     Neenah Paper, Inc.
7.375%, 11/15/14 		    268,550  
  555,000     Sealed Air Corp.µ*
6.875%, 07/15/33 		    503,466  
  339,000     Silgan Holdings, Inc.µ
7.250%, 08/15/16 		    363,577  
        Steel Dynamics, Inc.        
  744,000     7.750%, 04/15/16µ     790,500  
  93,000     7.625%, 03/15/20     100,208  
        Union Carbide Corp.µ        
  370,000     7.500%, 06/01/25     431,998  
  287,000     7.875%, 04/01/23     338,660  
                 
              4,905,251  
                 
        Telecommunication Services (0.5%)
  436,000     CenturyLink, Inc.µ
6.875%, 01/15/28 		    422,768  
        Frontier Communications Corp.        
  564,000     9.000%, 08/15/31µ     585,855  
  231,000     8.250%, 04/15/17     254,678  
  836,000     MetroPCS Wireless, Inc.µ
7.875%, 09/01/18 		    893,475  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Convertible Opportunities and Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		           
AMOUNT         VALUE  
   
 
  555,000     Qwest Communications International, Inc.µ
7.750%, 02/15/31 		  $ 571,650  
        Windstream Corp.        
  814,000     7.750%, 10/15/20µ     866,910  
  278,000     7.500%, 04/01/23     283,907  
                 
              3,879,243  
                 
        Utilities (0.1%)
        Calpine Corp.*        
  347,000     7.875%, 07/31/20     367,820  
  301,000     7.500%, 02/15/21µ     313,040  
        NRG Energy, Inc.*        
  463,000     7.875%, 05/15/21     467,630  
  93,000     7.625%, 05/15/19     93,233  
                 
              1,241,723  
                 
        TOTAL CORPORATE BONDS     63,412,483  
                 
U.S. Government and Agency Securities (0.1%)
        United States Treasury Note~        
  370,000     1.000%, 03/31/12     371,893  
  167,000     0.875%, 01/31/12     167,574  
                 
        TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES     539,467  
                 
Sovereign Bonds (0.1%)
        Federal Republic of Brazil        
  132,000  BRL   10.000%, 01/01/12     848,895  
  56,000  BRL   10.000%, 01/01/13     351,643  
                 
        TOTAL SOVEREIGN BONDS     1,200,538  
                 
NUMBER OF
 		           
CONTRACTS         VALUE  
   
 
Purchased Options (1.3%)#
        Consumer Discretionary (0.3%)
  260     Amazon.com, Inc.
Call, 01/19/13, Strike $180.00 		    1,656,200  
  115     Priceline.com, Inc.
Call, 01/19/13, Strike $520.00 		    1,269,025  
                 
              2,925,225  
                 
        Health Care (0.1%)
  1,400     Agilent Technologies, Inc.
Call, 01/19/13, Strike $50.00 		    665,000  
                 
        Information Technology (0.9%)
  275     Apple, Inc.
Call, 01/19/13, Strike $395.00 		    1,658,250  
  1,500     Check Point Software Technologies, Ltd.
Call, 01/19/13, Strike $55.00 		    1,410,000  
  3,000     Dell, Inc.
Call, 01/19/13, Strike $15.00 		    1,020,000  
  2,650     EMC Corp.
Call, 01/19/13, Strike $25.00 		    1,119,625  
  2,400     Oracle Corp.
Call, 01/19/13, Strike $30.00 		    1,206,000  
  1,900     QUALCOMM, Inc.
Call, 01/19/13, Strike $55.00 		    1,491,500  
                 
              7,905,375  
                 
        TOTAL PURCHASED OPTIONS     11,495,600  
                 
        TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $73,950,685) 		    76,648,088  
                 
NUMBER OF
 		           
SHARES         VALUE  
   
 
CONVERTIBLE PREFERRED STOCKS (12.1%)
        Consumer Staples (1.9%)
  76,000     Bunge, Ltd.
4.875% 		    7,647,500  
  680,000     Dole Food Automatic Exchµ*
7.000% 		    8,840,000  
                 
              16,487,500  
                 
        Energy (1.4%)
  180,000     Apache Corp.µ
6.000% 		    11,725,200  
                 
        Financials (5.2%)
  350,000     Affiliated Managers Group, Inc.
5.150% 		    15,006,250  
  15,361     Bank of America Corp.µ
7.250% 		    14,972,828  
  64,000     MetLife, Inc.µ
5.000% 		    4,988,160  
  9,100     Wells Fargo & Companyµ
7.500% 		    9,661,470  
                 
              44,628,708  
                 
        Industrials (0.5%)
  38,966     Stanley Black & Decker, Inc.
4.750% 		    4,461,607  
                 
        Materials (2.0%)
  177,800     Vale, SAµ
6.750% 		    16,538,466  
                 
        Utilities (1.1%)
  190,000     NextEra Energy, Inc.
7.000% 		    9,690,000  
                 
        TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $95,071,009) 		    103,531,481  
                 
NUMBER OF
 		           
UNITS         VALUE  
   
 
STRUCTURED EQUITY-LINKED SECURITIES (3.1%)+*
        Energy (1.3%)
  76,800     Credit Suisse Group
(Baker Hughes, Inc.)
8.000%, 01/31/12 		    5,499,648  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Convertible Opportunities and Income Fund
 SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)

 
                 
NUMBER OF
 		           
UNITS         VALUE  
   
 
  173,000     Deutsche Bank, AG
(Chesapeake Energy Corp.)
8.000%, 01/24/12 		  $ 5,705,540  
                 
              11,205,188  
                 
        Health Care (0.6%)
  57,000     Deutsche Bank, AG (Biogen)
8.000%, 12/13/11 		    5,478,270  
                 
        Information Technology (1.2%)
  197,000     Barclays Capital, Inc.
(EMC Corp.)
8.000%, 12/23/11 		    5,240,200  
  127,900     Credit Suisse Group
(Autodesk, Inc.)
8.000%, 01/31/12 		    4,875,548  
                 
              10,115,748  
                 
        TOTAL STRUCTURED EQUITY-LINKED SECURITIES
(Cost $27,451,844) 		    26,799,206  
                 
NUMBER OF
 		           
SHARES         VALUE  
   
 
COMMON STOCKS (1.5%)
        Financials (0.1%)
  13,850     American International Group, Inc.#     397,495  
                 
        Health Care (1.4%)
  354,765     Merck & Company, Inc.µ     12,108,129  
                 
        TOTAL COMMON STOCKS
(Cost $14,444,400) 		    12,505,624  
                 
SHORT TERM INVESTMENT (5.1%)
  43,408,753     Fidelity Prime Money Market Fund - Institutional Class
(Cost $43,408,753) 		    43,408,753  
                 
TOTAL INVESTMENTS (127.5%)
(Cost $1,047,192,541)
    1,091,271,227  
         
LIABILITIES, LESS OTHER ASSETS (-27.5%)     (235,267,435 )
         
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%)   $ 856,003,792  
         
 
NOTES TO SCHEDULE OF INVESTMENTS
µ Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $633,428,548. $211,981,693 of the collateral has been re-registered by the counterparty.
* Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements. At July 31, 2011, the value of 144A securities that could not be exchanged to the registered form is $122,632,958 or 14.3% of net assets applicable to common shareholders.
‡ Variable rate or step bond security. The rate shown is the rate in effect at July 31, 2011.
~ Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options and swaps. The aggregate value of such securities is $5,857,271.
§ Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
# Non-income producing security.
+ Structured equity-linked securities are designed to simulate the characteristics of the equity security in the parenthetical.
 
FOREIGN CURRENCY ABBREVIATIONS
     
BRL
  Brazilian Real
GBP
  British Pound Sterling
NOK
  Norwegian Krone
 
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Convertible Opportunities and Income Fund
 
 
INTEREST RATE SWAPS
 
 
                             
                      Unrealized
 		 
    Fixed Rate
 		  Floating Rate
 		  Termination
 		  Notional
 		    Appreciation/
 		 
Counterparty   (Fund Pays)   (Fund Receives)   Date   Amount     (Depreciation)  
   
 
BNP Paribas, SA
  2.4300% quarterly   3 month Libor   04/14/14   $ 80,000,000     $ (3,765,902 )
                             
BNP Paribas, SA
  1.8650% quarterly   3 month Libor   04/14/12     55,000,000       (630,923 )
                             
BNP Paribas, SA
  1.8525% quarterly   3 month Libor   09/14/12     38,700,000       (700,796 )
                             
                             
                        $ (5,097,621 )
                             
 
See accompanying Notes to Schedule of Investments

 

 
NOTE 1 – ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
 
Organization. Calamos Convertible Opportunities and Income Fund (the “Fund”) was organized as a Delaware statutory trust on April 17, 2002 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on June 26, 2002. The Fund’s investment objective is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest at least 80% of its managed assets in a diversified portfolio of convertibles and non-convertible income securities. “Managed assets” means the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).
 
Fund Valuation. The valuation of the Fund’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
 
Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the last current reported sales price at the time a Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund determines its NAV.
 
When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
 
Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
 
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.
 
If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.
 
The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for

 

comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
 
When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.
 
Investment Transactions. Investment transactions are recorded on a trade date basis as of July 31, 2011.
 
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
 
Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
 
Forward Foreign Currency Contracts. The Fund may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. The net unrealized gain, if any, represents the credit risk to a Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. There were no open forward foreign currency contracts at July 31, 2011.
 
NOTE 2 – INVESTMENTS
 
The following information is presented on a federal income tax basis as of July 31, 2011. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.
 
The cost basis of investments for federal income tax purposes at July 31, 2011 was as follows:
 
         
Cost basis of investments
  $ 1,073,075,883  
         
Gross unrealized appreciation
    51,654,557  
Gross unrealized depreciation
    (33,459,213 )
         
Net unrealized appreciation (depreciation)
  $ 18,195,344  
         
 
NOTE 3 – BORROWINGS
 
The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “Agreement”) with BNP Paribas Prime Brokerage, Inc. (as successor to Bank of America N.A.) (“BNP”) that allows the Fund to borrow up to $300,000,000, and a Lending Agreement, as defined below. Borrowings under the Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). Interest is charged at the quarterly LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .55% on the undrawn balance. For the period ended July 31, 2011, the average borrowings and the average interest rate were $219,901,099 and 1.08%, respectively. As of July 31, 2011, the amount of such outstanding borrowings was $245,000,000. The interest rate applicable to the borrowings on July 31, 2011 was 0.90%.
 
The Lending Agreement is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the “Lent Securities”) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the Agreement. BNP may re-register the Lent

 

Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities.
 
Under the terms of the Lending Agreement, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to the Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Fund’s custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Fund’s custodian for the ultimate delivery of such Lent Securities, or equivalent securities, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. The Fund shall also have the right to apply and set-off an amount equal to one hundred percent (100%) of the then-current fair market value of such Lent Securities against the Current Borrowings.
 
NOTE 4 – INTEREST RATE SWAPS
 
The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 3 – Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.
 
NOTE 5 – SYNTHETIC CONVERTIBLE SECURITIES
 
The Fund may establish a “synthetic” convertible instrument by combining separate securities that possess the economic characteristics similar to a convertible security, i.e., fixed-income securities (“fixed-income component”), which may be a convertible or non-convertible security and the right to acquire equity securities (“convertible component”). The fixed-income component is achieved by investing in fixed income securities such as bonds, preferred stocks, and money market instruments. The convertible component is achieved by investing in warrants or purchased options to buy common stock at a certain exercise price, or options on a stock index. In establishing a synthetic instrument, the Fund may pool a basket of fixed-income securities and a basket of warrants or purchased options that produce the economic characteristics similar to a convertible security. Within each basket of fixed-income securities and warrants or options, different companies may issue the fixed-income and convertible components, which may be purchased separately and at different times.
 
The Fund may also purchase synthetic securities created by other parties, typically investment banks, including convertible structured notes. Convertible structured notes are fixed-income debentures linked to equity. Convertible structured notes have the attributes of a convertible security; however, the investment bank that issued the convertible note assumes the credit risk associated with the investment, rather than the issuer of the underlying common stock into which the note is convertible. Purchasing synthetic convertible securities may offer more flexibility than purchasing a convertible security.

 

NOTE 6 – STRUCTURED EQUITY-LINKED SECURITIES
 
The Fund may also invest in structured equity-linked securities created by third parties, typically investment banks. Structured equity-linked securities created by such parties may be designed to simulate the characteristics of traditional convertible securities or may be designed to alter or emphasize a particular feature. Traditional convertible securities typically offer stable cash flows with the ability to participate in capital appreciation of the underlying common stock. Because traditional convertible securities are exercisable at the option of the holder, the holder is protected against downside risk. Structured equity-linked securities may alter these characteristics by offering enhanced yields in exchange for reduced capital appreciation or less downside protection, or any combination of these features. Structured equity-linked instruments may include structured notes, equity-linked notes, mandatory convertibles and combinations of securities and instruments, such as a debt instrument combined with a forward foreign currency contract.
 
NOTE 7 – FAIR VALUE MEASUREMENTS
 
Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:
 
  •  Level 1 – Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.
 
  •  Level 2 – Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.
 
  •  Level 3 – Prices reflect unobservable market inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.
 
Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Funds’ investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period and no significant transfers between levels occurred during the period.

 

The following is a summary of the inputs used in valuing the Funds’ holdings at fair value:
 
                                 
    Convertible Opportunities and Income Fund
    Level 1   Level 2   Level 3   Total
Assets:
                               
Corporate Bonds
  $ —     $ 622,007,106     $ —     $ 622,007,106  
Convertible Bonds
            189,320,351             $ 189,320,351  
U.S. Government and Agency Securities
            5,287,185             $ 5,287,185  
Sovereign Bonds
            11,763,433             $ 11,763,433  
Synthetic Convertible Securities (Corporate Bonds)
            63,412,483             $ 63,412,483  
Synthetic Convertible Securities (U.S. Government and Agency Securities)
            539,467             $ 539,467  
Synthetic Convertible Securities (Sovereign Bonds)
            1,200,538             $ 1,200,538  
Synthetic Convertible Securities (Purchased Options)
    11,495,600                     $ 11,495,600  
Convertible Preferred Stocks
    72,037,731       31,493,750               103,531,481  
Structured Equity-Linked Securities
            26,799,206             $ 26,799,206  
Common Stocks
    12,505,624                     $ 12,505,624  
Short Term Investment
    43,408,753                     $ 43,408,753  
                                 
Total
  $ 139,447,708     $ 951,823,519     $ —     $ 1,091,271,227  
                                 
Liabilities:
                               
Interest Rate Swaps
            5,097,621             $ 5,097,621  
                                 
Total
  $ —     $ 5,097,621     $ —     $ 5,097,621  
                                 

 

ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.
b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 3. EXHIBITS.
  (a)   Certification of Principal Executive Officer.
 
  (b)   Certification of Principal Financial Officer.

 

 

SIGNATURES
               Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Convertible Opportunities and Income Fund
         
By:

Name:
  /s/ John P. Calamos, Sr.
 

John P. Calamos, Sr. 		   
Title:
  Principal Executive Officer    
Date:
  September 19, 2011    
               Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Calamos Convertible Opportunities and Income Fund
         
By:

Name:
  /s/ John P. Calamos, Sr.
 

John P. Calamos, Sr. 		   
Title:
  Principal Executive Officer    
Date:
  September 19, 2011    
 
        
By:

Name:
  /s/ Nimish S. Bhatt
 

Nimish S. Bhatt 		   
Title:
  Principal Financial Officer    
Date:
  September 19, 2011